calc_kalman_gain2

 Calcurate Kalman gain matrix

 2012/03/14 M.Fukushima

0001 function [KW, GSB, SB] = calc_kalman_gain2(G, Gt, S, Cov, flag_pinv)
0002 %
0003 % Calcurate Kalman gain matrix
0004 %
0005 % 2012/03/14 M.Fukushima
0006 
0007 GSG     = G*S*Gt; 
0008 SB      = GSG + Cov;                 % Sigma_B
0009 if flag_pinv, SB_inv  = pinv( SB );  % Sigam_B^{-1}
0010 else SB_inv  = inv(SB); end
0011 GSB     = Gt*SB_inv;                 % Ga' * Sigma_B^{-1}
0012 
0013 % Kalman gain matrix
0014 KW = S*GSB;